spb/wp7_uqo Public
UQO Working Paper No. 7 — Options-implied information for cross-asset return and volatility prediction: evidence from 3.8B option contracts.
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1======================================================================2SUBPERIOD & REGIME ANALYSIS3======================================================================45--- A. SUBPERIOD ANALYSIS ---6 Pre-GFC Recovery (2010-2012) | 1D: R²=0.004553, N=8,565, Sig=27 Pre-GFC Recovery (2010-2012) | 5D: R²=0.030907, N=8,565, Sig=78 Bull Market (2013-2016) | 1D: R²=0.004585, N=25,950, Sig=39 Bull Market (2013-2016) | 5D: R²=0.075441, N=25,950, Sig=1010 Low Vol Era (2017-2018) | 1D: R²=0.001513, N=16,271, Sig=011 Low Vol Era (2017-2018) | 5D: R²=0.136191, N=16,271, Sig=912 Pre-COVID (2019) | 1D: R²=0.003227, N=8,374, Sig=013 Pre-COVID (2019) | 5D: R²=0.079744, N=8,374, Sig=614 COVID Period (2020) | 1D: R²=0.017858, N=8,892, Sig=515 COVID Period (2020) | 5D: R²=0.144437, N=8,892, Sig=916 Post-COVID Bull (2021) | 1D: R²=0.007537, N=9,734, Sig=317 Post-COVID Bull (2021) | 5D: R²=0.035705, N=9,734, Sig=818 Rate Hiking (2022) | 1D: R²=0.010038, N=10,068, Sig=719 Rate Hiking (2022) | 5D: R²=0.084292, N=10,068, Sig=1020 Recovery (2023-2024) | 1D: R²=0.005715, N=20,396, Sig=421 Recovery (2023-2024) | 5D: R²=0.051809, N=20,396, Sig=822 Recent (2025) | 1D: R²=0.007011, N=10,831, Sig=523 Recent (2025) | 5D: R²=0.037489, N=10,831, Sig=72425 RV Forecasting by subperiod:26 Pre-GFC Recovery (2010-2012) | HAR-RV: R²=0.34375827 Pre-GFC Recovery (2010-2012) | HAR+IV: R²=0.39209528 Bull Market (2013-2016) | HAR-RV: R²=0.34163829 Bull Market (2013-2016) | HAR+IV: R²=0.33605030 Low Vol Era (2017-2018) | HAR-RV: R²=0.30940231 Low Vol Era (2017-2018) | HAR+IV: R²=0.41918432 Pre-COVID (2019) | HAR-RV: R²=0.27950833 Pre-COVID (2019) | HAR+IV: R²=0.36325534 COVID Period (2020) | HAR-RV: R²=0.60384335 COVID Period (2020) | HAR+IV: R²=0.72092736 Post-COVID Bull (2021) | HAR-RV: R²=0.37617237 Post-COVID Bull (2021) | HAR+IV: R²=0.43962438 Rate Hiking (2022) | HAR-RV: R²=0.38656339 Rate Hiking (2022) | HAR+IV: R²=0.47080640 Recovery (2023-2024) | HAR-RV: R²=0.29037041 Recovery (2023-2024) | HAR+IV: R²=0.39017242 Recent (2025) | HAR-RV: R²=0.32082743 Recent (2025) | HAR+IV: R²=0.4019014445--- B. VIX REGIME ANALYSIS ---46 [Section B skipped — raw stores unavailable; existing regime_results.csv left untouched]47 Raw store 'index_5min.duckdb' not found under /Users/simon-pierreboucher/Desktop/wp7_uqo/data/raw.48These stores (~3.8B option records / 11.5B intraday bars) are kept outside the repository. Point WP7_RAW_DATA_DIR to the directory that contains them, or skip the raw-dependent steps — every downstream analysis runs from the processed parquets in data/processed/.4950--- C. ROLLING WINDOW R² (252-day) ---51 120 rolling windows computed5253 5D_Return: mean R²=0.079942, min=0.021352, max=0.178893, std=0.0445225455 1D_RV: mean R²=0.412446, min=0.257679, max=0.756025, std=0.1073105657--- D. PRE vs POST COVID COMPARISON ---58 Pre-COVID | 1D: R²=0.00199459 Pre-COVID | 5D: R²=0.07088460 Pre-COVID | HAR-RV: R²=0.34630361 Pre-COVID | HAR+IV: R²=0.38144262 Post-COVID | 1D: R²=0.00117763 Post-COVID | 5D: R²=0.05177064 Post-COVID | HAR-RV: R²=0.46293865 Post-COVID | HAR+IV: R²=0.5705816667SUBPERIOD & REGIME ANALYSIS COMPLETE.68